Iliana Anagnou

Financial Options Research Ctr., Univ. of Warwick

University of Warwick

Coventry CV4 7AL

United Kingdom

  • Financial Options Research Ctr., Univ. of Warwick

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The Relation between Implied and Realised Probability Density Functions

Number of pages: 61 Posted: 04 Mar 2002
Iliana Anagnou, Mascia Bedendo, Stewart D. Hodges and Robert Tompkins
Financial Options Research Ctr., Univ. of Warwick, University of Bologna - Department of Management, University of Warwick - Financial Options Research Centre (FORC) and Business School of Finance & Management (HfB) - Bankakademie Group
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Abstract:

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Implied Risk-Neutral Distribution, RND, Implied Volatility Smiles, Probability Integral Transform, Options, Goodness-of-Fit Tests, NIG